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An investor sentiment barometer — Greek Implied Volatility Index (GRIV)

  • Siriopoulos, Costas
  • Fassas, Athanasios

In this paper, we propose a new measure of Greek equity market volatility based on the prices of FTSE/ATHEX-20 index options. Greek Implied Volatility Index is calculated using the model-free methodology that involves option prices summations and is independent from the Black and Scholes pricing formula. The specific method is applied for the first time in a peripheral and illiquid market as the Athens Exchange.

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Article provided by Elsevier in its journal Global Finance Journal.

Volume (Year): 23 (2012)
Issue (Month): 2 ()
Pages: 77-93

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Handle: RePEc:eee:glofin:v:23:y:2012:i:2:p:77-93
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620162

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